Module code: ECOM005
Credits: 30.0
Semester: SEM1
Contact: Prof Andrea Carriero
This module provides students with the necessary tools for formalising a hypothesis of interest and testing it, writing a simple econometric model, estimating it and conducting inference. The module starts with a review of the classical linear model. We then analyse finite sample and asymptotic properties of ordinary least squares, instrumental variables and feasible generalised least squares, under general conditions. Classical tests, as well as general Hausman tests, and moment's tests are covered. The case of dependent stationary observations is also covered. Nonlinear estimation methods, and in particular the generalised method of moments, are covered. Diff-in-diff methods and their applications will also be part of the module, as well as coverage of micro-level data. Finally, the module will provide a brief introduction to programming in Matlab/Python and familiarization with the statistical package STATA.
Connected course(s): UDF DATA
Assessment: 100.0% Examination
Level: 7
